Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model

Yuri M. Kabanov and Günter Last
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

Mathematical Finance, 2002, vol. 12, issue 1, 63-70

Abstract: We consider a general semimartingale model of a currency market with transaction costs. Assuming that the price process is continuous and the solvency cone is proper we prove a hedging theorem describing the set of initial endowments that allows the investor to hedge a contingent claim in various currencies by a self‐financing portfolio.

Date: 2002
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